In the post-crisis era, financial institutions seem to be more aware of the risks posed by
extreme events. Even though there are attempts to adapt methodologies drawing from the vast …

Accounting for the likelihood of observing extreme returns and for return asymmetry is
paramount in financial modeling. In addition to recognizing essential features of the returns’ …

Understanding of fat tail and its importance was very less known when it comes to the economic
field. This paper makes notes from other papers and describes what all are done in the …

Why do mean–variance (MV) models perform so poorly? In searching for an answer to this
question, we estimate expected returns by sampling from a multivariate probability model that …

… (b) Differential curves of NI model and MHT model from (a). … 5 (b), the differential curves of
these models are symmetric except for SNL model and it has a fat tail on the right part. TBS is …

We provide a method to determine whether a new recommendation system improves the
revenue per visit (RPV) compared to the status quo. We achieve our goal by splitting RPV into …

There has been a growing interest in CVaR as a financial risk measure in optimal allocation
fields. This interest is based many key advantages of CVaR over the most used measures of …

In Islamic Finance (IF hereafter), the safety-first rule of investing (hifdh almal) is held to be of
utmost importance. According to the honesty principle (amanah), the Islamic portfolio …

Using empirical data and the properties they reveal, we develop a factor that captures changes
of both currency implied correlation and volatilities. For this purpose, we apply the Guldin…

… In panel b) a sample of daily returns for a month with low ambiguity is displayed. … Figure 2,
panel b, demonstrates intraday returns distribution in a month with low ambiguity. It is evident …